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Contrarian and momentum profitability revisited: Evidence from the London Stock Exchange 1964-2005

  • Galariotis, Emilios C.
  • Holmes, Phil
  • Ma, Xiaodong S.
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    File URL: http://www.sciencedirect.com/science/article/pii/S1042-444X(07)00013-8
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    Article provided by Elsevier in its journal Journal of Multinational Financial Management.

    Volume (Year): 17 (2007)
    Issue (Month): 5 (December)
    Pages: 432-447

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    Handle: RePEc:eee:mulfin:v:17:y:2007:i:5:p:432-447
    Contact details of provider: Web page: http://www.elsevier.com/locate/mulfin

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    1. David Ikenberry & Josef Lakonishok & Theo Vermaelen, 1994. "Market Underreaction to Open Market Share Repurchases," NBER Working Papers 4965, National Bureau of Economic Research, Inc.
    2. Lo, Andrew W & MacKinlay, A Craig, 1990. "When Are Contrarian Profits Due to Stock Market Overreaction?," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 175-205.
    3. Spyros Spyrou & Konstantinos Kassimatis & Emilios Galariotis, 2007. "Short-term overreaction, underreaction and efficient reaction: evidence from the London Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 17(3), pages 221-235.
    4. Antonios Antoniou & Emilios C. Galariotis & Spyros I. Spyrou, 2005. "Contrarian Profits and the Overreaction Hypothesis: the Case of the Athens Stock Exchange," Post-Print hal-01096037, HAL.
    5. Antonios Antoniou & Emilios C. Galariotis & Spyros I. Spyrou, 2006. "Short-term Contrarian Strategies in the London Stock Exchange: Are They Profitable? Which Factors Affect Them?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(5-6), pages 839-867.
    6. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    7. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
    8. van der Hart, Jaap & Slagter, Erica & van Dijk, Dick, 2003. "Stock selection strategies in emerging markets," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 105-132, February.
    9. Zarowin, Paul, 1990. "Size, Seasonality, and Stock Market Overreaction," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(01), pages 113-125, March.
    10. Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
    11. Michael J. Cooper & Roberto C. Gutierrez & Allaudeen Hameed, 2004. "Market States and Momentum," Journal of Finance, American Finance Association, vol. 59(3), pages 1345-1365, 06.
    12. Chan, K C, 1988. "On the Contrarian Investment Strategy," The Journal of Business, University of Chicago Press, vol. 61(2), pages 147-63, April.
    13. K. Rouwenhorst, 1996. "International Momentum Strategies," Yale School of Management Working Papers ysm36, Yale School of Management, revised 01 Feb 2008.
    14. Jegadeesh, Narasimhan & Titman, Sheridan, 1995. "Overreaction, Delayed Reaction, and Contrarian Profits," Review of Financial Studies, Society for Financial Studies, vol. 8(4), pages 973-93.
    15. Antonios Antoniou & Emilios C. Galariotis & Spyros I. Spyrou, 2006. "The effect of time-varying risk on the profitability of contrarian investment strategies in a thinly traded market: a Kalman filter approach," Post-Print hal-01096031, HAL.
    16. Gishan Dissanaike, 1997. "Do Stock Market Investors Overreact?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(1), pages 27-50.
    17. Roni Michaely & Richard H. Thaler & Kent Womack, 1994. "Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?," NBER Working Papers 4778, National Bureau of Economic Research, Inc.
    18. Emilios Galariotis, 2004. "Sources of contrarian profits and return predictability in emerging markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(14), pages 1027-1034.
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